The game as a contract and the “risicum" in the work of Olivi. (Le jeu comme contrat et le risicum chez Olivi.)
The martingale method of shortfall risk minimization in a discrete time market
The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.
The Pólya-Aeppli process and ruin problems.
The problem of determining estimators for different structural parameters in the case of credibility results for weighted contracts
This paper presents and analyzes the estimators of the structural parameters, in the Bühlmann-Straub model, involving complicated mathematical properties of conditional expectations and of conditional covariances. So to enable to use the better linear credibility results obtained in this model, we will provide useful estimators for the structure parameters. From the practical point of view it is stated the attractive property of unbiasedness for these estimators.
Theoretical and practical considerations regarding bonus-malus system.
Two lognormal models for real data.